Housing Data (Vacancies, Absorption, American Housing Survey)
American Community Survey Ongoing large-sample collection of population and housing data previously included in decennial census long form.
Current Population Survey Monthly survey (with annual demographic supplement) used to produce unemployment rates, household estimates, homeownership, migration, etc.
IPUMS from Minnesota Population Center provides Census Bureau microdata, including the ACS, CPS back to 1962, and decennial censuses back to 1850! It's easier than raw data files, but not for the faint of heart.
IRS Migration Data Address changes for taxpayers are a key input to Census population estimates. There is additional detail, and caveats ignored by Census, here.
National Association of Realtors Existing home median, average prices, also existing home sales (closings) and pending home sales (contracts)
New Home Prices and Sales from Census Bureau. Hedonic price indices (adjusted for changes in new home characteristics) are based on the same new home sales data.
CoreLogic has data based on public records and servicing portfolios regarding home sales, foreclosures, mortgage activity, prices, etc, much of which is shown in public-available reports
Federal Housing Finance Agency In addition to the house price indices (linked above) there are data from the discontinued Monthly Interest Rate Survey and the nascent National Mortgage Database and measures of "underserved areas"
Financial Accounts of the U.S. (aka Flow of Funds) data from Federal Reserve shows outstanding debt and home equity. Note that household ownership of rental real estate is counted under nonfinancial noncorporate business, rather than in household real estate assets and mortgage debt. The Federal Reserve also conducts a quarterly Senior Loan Officers Opinion Survey that measures whether home mortgage lending (and other lending) is being tightened or loosened.
National Multi Housing Council looks at apartment trends and tracks largest rental property owners and managers, but access to most material restricted to members.
Building Materials
APA – Engineered Wood Association: OSB, I-joists, etc. (APA used to stand for American Plywood Association, until they found that wasn’t the wave of the future.)
CME Lumber Futures Prices. This provides a signal of trends in lumber prices. Futures can be used to hedge against risk, as explained in my 1994 article, if used prudently.
National Low Income Housing Coalition produces various reports including periodic "Out of Reach" reports on affordability and provides links to various state-level reports
County Business Patterns Establishments and employees by industry. Industry classifications are probably more consistent across states than alternative data from BLS. Some data are available by zip code.
NBER (National Bureau of Economic Research) Links for other sources for economists
AREUEA (American Real Estate and Urban Economics Assn) Links
Data.gov A site "to increase public access to high value, machine readable datasets generated by the Executive Branch of the Federal Government." Another useful site is the Federal Digital System from the Government Printing Office, with links to various government publication such as the Federal Register and Congressional Record
Miscellaneous
Fed In Print - Search engine maintained by FRB San Francisco monitors reports from throughout Federal Reserve system